We know that Jesus rode on a donkey for His triumphant entry into Jerusalem from the Gospels to fulfill the prophecy of Zechariah: “Rejoice greatly, O Daughter of Zion! Shout, Daughter of Jerusalem! See, your king comes to you, righteous and having salvation, gentle and riding on a donkey, on a colt, the foal of a donkey.” Giotto includes the entry in his frescoes of the life of Christ in the Scrovegni Chapel in Padua. (Look at the little smile on the donkey's face.)
There is also a tradition that Mary, carrying Jesus in her womb, rode on a donkey from Nazareth to Bethlehem--it is usually accepted that she would have ridden on a donkey on the way to Egypt after the murder of the Innocent baby boys by Herod. The Holy Family was not rich, so a donkey to carry the pregnant Mary and to carry Mary and the child Jesus is a reasonable assumption, but it's certainly not in scripture. Giotto pictures the donkey carrying Mary and Jesus to Egypt in same life cycle:
There is a lovely picture book titled The Donkey's Dream, which depicts the donkey carrying Mary to Bethlehem dreaming of what he is carrying: a city, a ship, a fountain, a rose, then a “lady full of heaven”, all images of the Blessed Virgin Mary.
The seer Malle in H.F.M. Prescott's great chronicle of the Dissolution of the Monasteries and the Pilgrimage of Grace The Man on a Donkey sees Jesus come riding on a donkey over the bridge to Grinton. Her only message is "There was a great wind of light blowing, and sore pain." That echoes Mary's message to King Alfred the Great in Chesterton's epic poem The Ballad of the White Horse:
"I tell you naught for your comfort,
Yea, naught for your desire,
Save that the sky grows darker yet
And the sea rises higher.
"Night shall be thrice night over you,
And heaven an iron cope.
Do you have joy without a cause,
Yea, faith without a hope?"
Mentioning Chesterton brings me to his great poem on the donkey who carried Jesus into Jerusalem. Like the donkey dreaming in the children's book I linked above, Chesterton's donkey knows something great has happened:
And figs grew upon thorn,
Some moment when the moon was blood
Then surely I was born.
With monstrous head and sickening cry
And ears like errant wings,
The devil’s walking parody
On all four-footed things.
The tattered outlaw of the earth,
Of ancient crooked will;
Starve, scourge, deride me: I am dumb,
I keep my secret still.
Fools! For I also had my hour
One far fierce hour and sweet:
There was a shout about my ears,
And palms before my feet.